05/01/2007
FUTURES CONTRACTS:
CIG Rockies Swap (CI), Alberta Gas Swap (NA), Chicago Swap (NB), SUMAS Swap (NK), Northwest Pipeline, Rockies Swap (NR), Waha Swap (NW), PGE&E Malin Swap (PB), PGE&E Citygate Swap (PC), NGPL Tex / OK Swap (PD), Northern Natural Gas Demarcation Swap (PE), Northern Natural Gas Ventura, Iowa Swap (PF), Panhandle Swap (PH), Permian Swap (PM), Tetco Eastern South/STX Swap (TX), Demarcation Index Swap (DI), SoCal Index Swap (IF), Dominion Index Swap (IH), CenterPoint Index Swap (II), San Juan Index Swap (IJ), PG&E City Gate Index Swap (IK), El Paso/Permian Index Swap (IL), Henry Hub Index Swap (IN), Dawn Index Swap (IO), Transco Zone 6 Index Swap (IT), Panhandle Index Swap (IV), NGPL Mid-Continent Index Swap (IW), TETCO M-3 Index Swap (IX), Waha Index Swap (IY), NGPL Tex/OK Index Swap (OI), Ventura Index Swap (VI)CONTRACT MONTHS: All Months
NOTE: The revised margin rates are in bold
NYMEX Division Margin Rates for Existing Natural
Gas Basis Swaps
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
||||
| Natural Gas Basis Financial | New |
Old |
New |
Old |
New |
Old |
| CIG Rockies Swap (CI) | ||||||
| Tier 1 : 1st Nearby | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2: 2nd Nearby | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 3: 3rd through 6th Nearby | $1,000 |
$750 |
$1,100 |
$825 |
$1,350 |
$1,013 |
| Tier 4: 7th through 12th Nearby | $500 |
$650 |
$550 |
$715 |
$675 |
$878 |
| Tier 5: 13th and Greater | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Alberta Gas Swap (NA) | ||||||
| Tier 1 : 1st Nearby | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 2: 2nd Nearby | $800 |
$1,000 |
$880 |
$1,100 |
$1,080 |
$1,350 |
| Tier 3: 3rd through 6th Nearby | $300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Tier 4: 7th through 12th Nearby | $250 |
$300 |
$275 |
$330 |
$338 |
$405 |
| Tier 5: 13th and Greater | $100 |
$200 |
$110 |
$220 |
$135 |
$270 |
| Chicago Swap (NB) | ||||||
| Tier 1 : 1st Nearby | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Tier 2: 2nd Nearby and Greater | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| SUMAS Swap (NK) | ||||||
| Tier 1 : 1st through 2nd nearby month | $500 |
$700 |
$550 |
$770 |
$675 |
$945 |
| Tier 2: 3rd through 5th nearby month | $400 |
$600 |
$440 |
$660 |
$540 |
$810 |
| Tier 3: Greater than 5th nearby month | $300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Northwest Pipeline, Rockies Swap (NR) | ||||||
| Tier 1 : 1st Nearby | $1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
| Tier 2: 2nd Nearby | $1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
| Tier 3: 3rd through 6th Nearby | $1,000 |
$500 |
$1,100 |
$550 |
$1,350 |
$675 |
| Tier 4: 7th through 12th Nearby | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 5: 13th and Greater | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Waha Swap (NW) | ||||||
| Tier 1 : 1st Nearby | $500 |
$750 |
$550 |
$825 |
$675 |
$1,013 |
| Tier 2: 2nd Nearby | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 3: 3rd through 6th Nearby | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 4: 7th through 12th Nearby | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 5: 13th and Greater | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| PGE&E Malin Swap (PB) | ||||||
| Tier 1 : 1st through 2nd nearby month | $500 |
$700 |
$550 |
$770 |
$675 |
$945 |
| Tier 2: 3rd through 5th nearby month | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 3: Greater than 5th nearby month | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| PGE&E Citygate Swap (PC) | ||||||
| Tier 1 : 1st through 2nd nearby month | $500 |
$700 |
$550 |
$770 |
$675 |
$945 |
| Tier 2: 3rd through 5th nearby month | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 3: Greater than 5th nearby month | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| NGPL Tex / OK Swap (PD) | ||||||
| Tier 1 : 1st Nearby | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 2: 2nd Nearby | $300 |
$350 |
$330 |
$385 |
$405 |
$473 |
| Tier 3: 3rd through 6th Nearby | $300 |
$450 |
$330 |
$495 |
$405 |
$608 |
| Tier 4: 7th through 12th Nearby | $300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Tier 5: 13th and Greater | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Northern Natural Gas Demarcation Swap (PE) | ||||||
| Tier 1 : 1st through 2nd nearby month | $500 |
$700 |
$550 |
$770 |
$675 |
$945 |
| Tier 2: 3rd through 5th nearby month | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 3: Greater than 5th nearby month | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Northern Natural Gas Ventura, Iowa Swap (PF) | ||||||
| Tier 1 : 1st through 2nd nearby month | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Tier 2: 3rd through 5th nearby month | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 3: Greater than 5th nearby month | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Panhandle Swap (PH) | ||||||
| Tier 1 : 1st Nearby | $600 |
$800 |
$660 |
$880 |
$810 |
$1,080 |
| Tier 2: 2nd Nearby | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 3: 3rd through 6th Nearby | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 4: 7th through 12th Nearby | $300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Tier 5: 13th and Greater | $300 |
$350 |
$330 |
$385 |
$405 |
$473 |
| Permian Swap (PM) | ||||||
| Tier 1 : 1st Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 2: 2nd Nearby | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 3: 3rd through 6th Nearby | $300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Tier 4: 7th through 12th Nearby | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 5: 13th and Greater | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tetco Eastern South/STX Swap (TX) | ||||||
| Tier 1 : 1st Nearby | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Tier 2: 2nd Nearby | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 3: 3rd through 6th Nearby | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 4: 7th through 12th Nearby | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 5: 13th and Greater | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
NYMEX Division Outright (Scan) Margin Rates For Existing Natural Gas
Index Swaps
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
||||
| Natural Gas Index Financial | New |
Old |
New |
Old |
New |
Old |
| Demarcation Index Swap (DI) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| SoCal Index Swap (IF) | ||||||
| Tier 1 | $1,200 |
$1,800 |
$1,320 |
$1,980 |
$1,620 |
$2,430 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Dominion Index Swap (IH) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| CenterPoint Index Swap (II) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| San Juan Index Swap (IJ) | ||||||
| Tier 1 | $1,200 |
$2,000 |
$1,320 |
$2,200 |
$1,620 |
$2,700 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| PG&E City Gate Index Swap (IK) | ||||||
| Tier 1 | $1,200 |
$2,000 |
$1,320 |
$2,200 |
$1,620 |
$2,700 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| El Paso/Permian Index Swap (IL) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Henry Hub Index Swap (IN) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Dawn Index Swap (IO) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Transco Zone 6 Index Swap (IT) | ||||||
| Tier 1 | $3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Panhandle Index Swap (IV) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| NGPL Mid-Continent Index Swap (IW) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| TETCO M-3 Index Swap (IX) | ||||||
| Tier 1 | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| Tier 2 | $750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Waha Index Swap (IY) | ||||||
| Tier 1 | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| Tier 2 | $125 |
$125 |
$138 |
$138 |
$169 |
$169 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| NGPL Tex/OK Index Swap (OI) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Ventura Index Swap (VI) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |